TABLE 9.
Asymmetric parameters of DAXR.
| Variables | Short-term coefficients | Std. Error | t-stat | Prob. |
| D(GERC_POS) | 0.015476*** | 0.001209 | 12.80122 | 0 |
| D(GERC_POS(-1)) | 0.012439*** | 0.001923 | 6.467043 | 0 |
| D(GERC_POS(-2)) | −0.088025*** | 0.005402 | −16.29596 | 0 |
| D(GERC_POS(-3)) | −0.057992*** | 0.003854 | −15.04828 | 0 |
| D(GERC_POS(-4)) | −0.097*** | 0.00647 | −14.99249 | 0 |
| D(GERC_NEG) | 0.05202*** | 0.004721 | 11.11903 | 0 |
| D(GERC_NEG(-1)) | −0.067796*** | 0.004325 | −15.67443 | 0 |
| D(GERC_NEG(-2)) | 0.044564*** | 0.003649 | 12.21376 | 0 |
| D(GERC_NEG(-3)) | 0.01327*** | 0.004158 | 3.191441 | 0.0041 |
| D(GERC_NEG(-4)) | 0.183056*** | 0.01145 | 15.98705 | 0 |
| D(GERD_POS) | −5.101477*** | 0.313432 | −16.27619 | 0 |
| D(GERD_POS(-1)) | 5.265597*** | 0.35462 | 14.84858 | 0 |
| D(GERD_POS(-2)) | −0.054459 | 0.100825 | −0.540134 | 0.5943 |
| D(GERD_POS(-3)) | 6.261756*** | 0.386781 | 16.18939 | 0 |
| D(GERD_NEG) | −3.913296*** | 0.288936 | −13.54383 | 0 |
| D(GERD_NEG(-1)) | 30.64757*** | 1.850055 | 16.56576 | 0 |
| D(GERD_NEG(-2)) | 23.76795*** | 1.466544 | 16.20677 | 0 |
| D(GERD_NEG(-3)) | 19.4969*** | 1.21192 | 16.08761 | 0 |
| ECTt–1 | −0.497359*** | 0.029762 | −16.71134 | 0 |
| R-Squared | 0.945788 | |||
| Adjusted R-squared | 0.910937 | |||
| Durbin-Watson stat | 1.667758 | |||
| Variables | Long-term Coefficients. | Std. Error | t-stat | Prob. |
| GERC_POS | 0.016748 | 0.035958 | 0.465776 | 0.6458 |
| GERC_NEG | −0.255912** | 0.1228 | −2.083972 | 0.0485 |
| GERD_POS | −19.28734*** | 7.569148 | −2.548151 | 0.018 |
| GERD_NEG | −65.49979** | 25.3728 | −2.581496 | 0.0167 |
| C | −2.440744** | 0.93232 | −2.617925 | 0.0154 |
*, **, and *** denote 10, 5, and 1% level of significance, respectively. Source: Author’s calculation.